The former journalist and barrister became a senator during a ceremony in the chamber at Parliament House in Canberra on Thursday.
Senator Henderson filled the vacancy left by former cabinet minister Mitch Fifield, who quit to become Australia's ambassador to the United Nations.
Prime Minister Scott Morrison said it was a great day for women around Australia, acknowledging the female senators before Senator Henderson who "blazed the trail".
"The Liberal Party still has a journey to go on this issue," Mr Morrison said
Her rise to the 76-member upper house comes after she knocked off Greg Mirabella, the husband of divisive former Liberal MP Sophie Mirabella, in a bruising preselection battle on Sunday.
At the May federal election, Senator Henderson lost her regional Victorian seat of Corangamite with Labor's Libby Coker defeating her after a redistribution.
"Welcome back," Senate President and fellow Victorian Liberal Scott Ryan told her after she was officially sworn in.
"It is wonderful to be back," Senator Henderson told reporters on Thursday.
She said she was looking forward to working for regional Victoria.